The first thing you will need is a PNG of a default Mac folder. You can find them in Google Images. I used this one here: http://goo.gl/D5k3I
The reason why it must be a PNG is because of the transparency and shadow. A JPEG or BMP image will not have the transparency you need.
Next, find an image that you will want to place onto the folder. In this case it is the Instructables Bot. This image doesn't really have to be a PNG, but it can make the job a lot easier if it is.